112 citations · 129 across the 20 of their papers we have counts for
22 papers
Convex Increasing Functionals on Spaces
Freddy Delbaen
We prove that convex functions on a space satisfying a mild continuity condition can be represented using sigma additive measures. This generalises a result of Cheridito,…
Monetary Utility Functions on Spaces
Freddy Delbaen
We will characterise robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
Approximation with Independent Variables
Freddy Delbaen, Chitro Majumdar
Given a square integrable m-dimensional random variable on a probability space and a sub sigma algebra , we show that there exists another m-di…
Law of Large Numbers for Risk Measures
Freddy Delbaen
Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random…
Group cohesion under individual regulatory constraints
Delia Coculescu, Freddy Delbaen
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to be…
Fairness principles for insurance contracts in the presence of default risk
Delia Coculescu, Freddy Delbaen
We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the…